The Local Impact of Global Flows on U.S. Firm-Level Stock Returns

2015 ◽  
Author(s):  
Matthew M. Wynter
Keyword(s):  
Stock Returns ◽  
Firm Level ◽  
Global Flows ◽  
Local Impact

Can Twitter Help Predict Firm-Level Earnings and Stock Returns?

2017 ◽  
Vol 93 (3) ◽  
pp. 25-57 ◽  
Author(s):  
Eli Bartov ◽  
Lucile Faurel ◽  
Partha S. Mohanram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Future Prospects ◽  
Traditional Media ◽  
Stock Trading ◽  
Firm Level ◽  
Quarterly Earnings ◽  
Announcement Returns ◽  
Twitter Activity ◽  
Original Information

ABSTRACT Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement returns. Using a broad sample from 2009 to 2012, we find that the aggregate opinion from individual tweets successfully predicts a firm's forthcoming quarterly earnings and announcement returns. These results hold for tweets that convey original information, as well as tweets that disseminate existing information, and are stronger for tweets providing information directly related to firm fundamentals and stock trading. Importantly, our results hold even after controlling for concurrent information or opinion from traditional media sources, and are stronger for firms in weaker information environments. Our findings highlight the importance of considering the aggregate opinion from individual tweets when assessing a stock's future prospects and value.

Information risk, stock returns, and asset pricing: Evidence from China

2017 ◽  
Vol 30 (4) ◽  
pp. 379-394 ◽  
Author(s):  
Raheel Safdar ◽  
Chen Yan
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Empirical Literature ◽  
Firm Level ◽  
Cross Sectional ◽  
Market Pricing ◽  
Content Type ◽  
Information Risk ◽  
Accruals Quality ◽  
Three Factor

Purpose This study aims to investigate information risk in relation to stock returns of a firm and whether information risk is priced in China. Design/methodology/approach The authors used accruals quality (AQ) as their measure of information risk and performed Fama-Macbeth regressions to investigate association of AQ with future realized stock returns. Moreover, two-stage cross-sectional regression analysis was performed, both at firm level and at portfolio level, to test if the AQ factor is priced in China in addition to existing factors in the Fama French three-factor model. Findings The authors found poor AQ being associated with higher future realized stock returns. Moreover, they found evidence of market pricing of AQ in addition to existing factors in the Fama French three-factor model. Further, subsample analysis revealed that investors value AQ more in non-state owned enterprises than in state owned enterprises. Research limitations/implications The study sample comprises A-shares only and the generalization of the findings is limited by the peculiar institutional and economic setup in China. Originality/value This study contributes to market-based accounting literature by providing further insight into how and if investors value information risk, and it seeks to fill gap in empirical literature by providing evidence from the Chinese capital market.

scholarly journals The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?

Energies ◽  
2020 ◽  
Vol 13 (15) ◽  
pp. 3901 ◽  
Author(s):  
Mohammad Enamul Hoque ◽  
Soo-Wah Low ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Oil And Gas ◽  
Market Value ◽  
Negative Effects ◽  
Firm Level ◽  
Stock Size ◽  
Positive Effects ◽  
Oil And Gas Firms ◽  
Gas Price

This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns. The empirical findings also reveal that the extent of this effect varies across sub-industry, stock size, book-to-market value, and volatility states. Thus, the findings suggest the existence of asymmetric, heterogeneous, and non-linear exposures.

The Lead-Lag Relationship between the Stock Market and CDS Market in Korea

2010 ◽  
Vol 18 (4) ◽  
pp. 1-22
Author(s):  
Kwangil Bae ◽  
Hankil Kang ◽  
Changjun Lee
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Empirical Finding ◽  
Sample Analysis ◽  
Firm Level ◽  
Level Data ◽  
Firm Level Data ◽  
Controlling Variables ◽  
Bid Ask Spreads ◽  
Number Of Firms

This study examines the lead-lag relationship between the stock market and CDS market in Korea using the firm-level data during 2006-2009. Our main findings can be summarized as follows. First, our empirical finding shows that stock returns Granger cause CDS spread changes for a larger number of firms than vice versa. Second, the sub-sample analysis reveals that while the stock market leads the CDS market in each sub-sample, the lead-lag relationship is more pronounced in the post-crisis period. Finally, our main findings remain the same even in the presence of controlling variables such as equity volatilities, absolute bid-ask spreads, and CDS premium on foreign exchange stabilization bonds issued by Korean government. In sum, consistent with the U. S. and U. K. evidence, it appears that the stock market leads the CDS market in Korea.

Extracting Forward-Looking Information from Security Prices: A New Approach

2008 ◽  
Vol 83 (4) ◽  
pp. 1101-1124 ◽  
Author(s):  
Dan Weiss ◽  
Prasad A. Naik ◽  
Chih-Ling Tsai
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Time Series Models ◽  
Security Prices ◽  
Firm Level ◽  
Analyst Following ◽  
New Approach ◽  
Future Earnings ◽  
Market Participants ◽  
Forward Looking

ABSTRACT: This paper proposes a new index to extract forward-looking information from security prices and infer market participants’ expectations of future earnings. The index, called market-adapted earnings (MAE), utilizes stock returns and fundamental accounting signals to estimate market expectations of future earnings at the firm level. MAE outperforms time-series models (e.g., random-walk) in predicting future earnings. Results demonstrate the usefulness of MAE for firms that have no analyst following.

Stock returns and volatility dynamics in China

2015 ◽  
Vol 5 (2) ◽  
pp. 103-131 ◽  
Author(s):  
David G McMillan ◽  
Pornsawan Evans
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Relationship ◽  
World Trade Organisation ◽  
State Ownership ◽  
Lower State ◽  
Firm Level ◽  
Content Type ◽  
Listed Firms

Purpose – The purpose of this paper is to examine the nature of equity ownership of state-owned enterprises (SOEs) for over 2,000 listed firms in China. The paper examines both the pattern of state ownership and the dynamics of stock returns and volatility. Firms under the control of SOEs dominate the Chinese stock markets and currently account for over three-quarters of total market capitalisation. Central SOEs are focused in strategic industries, while Local SOEs concentrate on pillar industries relating to consumer goods and services. Design/methodology/approach – The authors obtain firm-level data from the Shanghai and Shenzhen stock markets and using panel estimation techniques examine the dynamics of returns, volatility and their relationship. Findings – The authors report an increase in state control among listed firms compared to earlier reported figures. This is contradictory to the expectation of a lower state influence following China joining of the World Trade Organisation in 2001. In examining the behaviour of stock returns the authors find evidence of daily and monthly autocorrelations that are larger and of a different sign to that reported for western markets. The authors also report evidence of volatility persistence but little evidence of volatility asymmetry, again in contrast to that often reported for other markets. Finally, the authors find evidence of either no or a negative relationship between returns and volatility (risk) that differs from our usual view of risk aversion. Originality/value – It is hoped, knowledge of these dynamics will increase the understanding of the Chinese equity market, which in turn is important for those engaged in international portfolio management and micro-structure modelling.

scholarly journals THE COVID-19 PANDEMIC AND INDIAN PHARMACEUTICAL COMPANIES: AN EVENT STUDY ANALYSIS

2021 ◽  
Vol 24 ◽  
pp. 1-14
Author(s):  
Chinmaya Behera ◽  
Badri Narayan Rath
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Alternative Model ◽  
Pharmaceutical Companies ◽  
Study Analysis ◽  
Pharmaceutical Sector ◽  
Firm Level ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Although there is a plethora of studies which examine the impact of the COVID-19 pandemic on India’s financial sector, we contribute by investigating the effect of the ongoing COVID-19 pandemic on stock returns of Indian pharmaceutical companies. By employing an event study methodology, our results indicate that the average returns of the pharmaceutical sector are positive during the COVID-19 phase although mixed evidence is found at the firm level. This finding is also robust to alternative model specifications.    

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